具有随机投资收益的Paulsen-Gjessing风险模型的推广
An extension of Paulsen-Gjessing's risk model with stochastic return on investments
摘要：
本文考虑了一个一般的双边跳扩散风险模型，该模型考虑了风险投资以及驱动保险风险和投资收益的两个布朗运动之间的相关性。首先介绍了该模型，然后给出了Gerber-Shiu函数所满足的积分微分方程以及破产时的期望折现罚金函数，并研究了阈值策略和障碍策略的分红问题，讨论了破产前总折现分红的矩和矩母函数.对于特殊情况给出了一些例子。
英文摘要：
We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insurance risk and investment return. We first introduce the model and then find the integro-differential equations satisfied by the Gerber-Shiu functions as well as the expected discounted penalty functions at ruin caused by a claim or by oscillation; We also study the dividend problem for the threshold and barrier strategies, the moments and moment-generating function of the total discounted dividends until ruin are discussed. Some examples are given for special cases.
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